Selecting a portfolio with skewness: Recent evidence from US,European, and Latin American equity markets |
| |
| Affiliation: | 1. Department of Finance, College of Business Administration, Florida International University, Miami, FL 33199, USA;2. Department of Economics and Finance, St. John’s University, New York, NY 11439, USA;1. National Key Laboratory of Shock Wave and Detonation Physics, Institute of Fluid Physics, China Academy of Engineering Physics, Mianyang, Sichuan, 621900, China;2. Institute of System Engineering, China Academy of Engineering Physics, Mianyang, 621900, China;1. School of Physics, Tonghua Normal University, Tonghua, 134002, PR China;2. Department of Physics, College of Science, North China University of Science and Technology, Tangshan, 063009, PR China;1. School of Bio & Food Engineering, Chuzhou University, Chuzhou 239000, China;2. School of Food and Biological Engineering, Jiangsu University, Zhenjiang 212013, China;3. College of Biosystems Engineering and Food Science, Zhejiang University, Hangzhou 310058, China;1. Key Laboratory of Integrated Exploitation of Bayan Obo Multi-Metal Resources, Inner Mongolia University of Science and Technology, Baotou 014010, China;2. School of Science, Inner Mongolia University of Science and Technology, Baotou 014010, China;1. Institute of Mathematics, University of Warsaw, Warsaw, Poland;2. Institute of Mathematics, Jagiellonian University, Cracow, Poland |
| |
| Abstract: | Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio from Latin American, US and European capital markets. The empirical findings suggest that the incorporation of skewness into an investor’s portfolio decision causes a major change in the resultant optimal portfolio. The empirical evidence indicates that investors do trade expected return of the portfolio for skewness. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
